Notes on XACT and DirectSound can be found here: Sound
Note: DirectSound is being replaced by XAudio2 and will be removed from the SDK in the near future.
Note: from the April release of the DirectX SDK DirectShow has been removed from the DirectX SDK. It can now be found in the Platform SDK.
DirectShow is a media streaming API. It can perform audio and video playback and capture. Below you will find links to some notes on playing mp3 and .avi files and a few answers to questions.
Yes, you can use pretty much any of the DirectX APIs with OpenGL. This is handy as you might want to use OpenGL for your graphics and then some of the DirectX APIs for Video, Music, Input etc.
If you are looking to playback videos in your main window using OpenGL and DirectShow see this note: With OpenGL.
DirectShow has been removed from DirectX since the April 2006 version. It has moved into the Platform SDK